Porovnat metody
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| Model časově proměnných parametrů ARIMA (TVP-ARIMA)× | Model ARIMA (Autoregressive Integrated Moving Average)× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1976–1989 | 1970 |
| Tvůrce≠ | Cooley & Prescott (1976); Harvey (1989) state-space formulation | George Box and Gwilym Jenkins |
| Typ≠ | Time series model with evolving coefficients | Time series forecasting model |
| Původní zdroj≠ | Harvey, A. C. (1989). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. ISBN: 9780521405737 | Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗ |
| Další názvy | TVP-ARIMA, time-varying ARIMA, adaptive ARIMA, state-space ARIMA | ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q) |
| Příbuzné≠ | 3 | 6 |
| Shrnutí≠ | The time-varying parameter ARIMA model extends the classical ARIMA framework by allowing its autoregressive and moving-average coefficients to evolve over time rather than remaining fixed. Cast in state-space form and estimated via the Kalman filter, it is designed for economic and financial time series whose dynamic structure shifts in response to structural breaks, policy changes, or regime transitions. | The ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics. |
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